---
title: Deeper Hedging: A New Agent-based Model for Effective Deep Hedging
url: https://www.ml-quant.com/papers/doi/10-1145-3604237-3626913/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: doi:10.1145/3604237.3626913
source_url: http://dx.doi.org/10.1145/3604237.3626913
featured: 2023-11-02
citations: 13
topic: Derivatives & Volatility
---


# Deeper Hedging: A New Agent-based Model for Effective Deep Hedging

The Chiarella-Heston model, an advanced agent-based model, enhances deep hedging strategies by incorporating different types of traders, and performs better in creating realistic financial time series than three other models.

- Source: http://dx.doi.org/10.1145/3604237.3626913
- Identifier: doi:10.1145/3604237.3626913
- Released: 2023-10-28
- First featured: Quant Letter No. 24 (2023-11-02): https://www.ml-quant.com/issues/2023-11-02/
- Citations (Semantic Scholar): 13
- Published in: Proceedings of the Fourth ACM International Conference on AI in Finance
- Topic: Derivatives & Volatility

## Related

- [Adversarial Deep Hedging: Learning to Hedge without Price Process Modeling](https://www.ml-quant.com/papers/arxiv/2307.13217/): The study introduces adversarial deep hedging, a new method for derivative hedging in incomplete markets, performing well across various real market data without explicit modeling.
- [Efficient Learning of Nested Deep Hedging using Multiple Options](https://www.ml-quant.com/papers/arxiv/2305.12264/): Study proposes nested deep hedging method for derivatives with market frictions using neural networks.
- [Is the difference between deep hedging and delta hedging a statistical arbitrage?](https://www.ml-quant.com/papers/arxiv/2407.14736/): The research compares deep hedging and delta hedging in a GARCH-based market model, suggesting that the difference between the two can be a statistical arbitrage if the risk measure doesn't adequately consider negative outcomes.
- [Enhancing Deep Hedging of Options with Implied Volatility Surface Feedback Information](https://www.ml-quant.com/papers/arxiv/2407.21138/): A new hedging strategy for S&P 500 options is introduced, using a unique reinforcement learning algorithm and hybrid neural network, which performs better than traditional benchmarks in tests and simulations.
- [Deep Hedging Bermudan Swaptions](https://www.ml-quant.com/papers/arxiv/2411.10079/): The article introduces a new method for Bermudan swaption hedging using the deep hedging framework, improving profit and loss management.
- [Deep Hedging of Green PPAs in Electricity Markets](https://www.ml-quant.com/papers/arxiv/2503.13056/): The paper introduces a 'deep hedging' approach using machine learning to develop hedging strategies in power markets, specifically for Green Power Purchase Agreements, which are subject to price and weather risks.